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• W3190997094 startingPage "101393" @default.
• W3190997094 abstract "• We examine how stock market associates with cross-currency basis swap spreads in the eurozone. • Results show that positive relationship exists between changes in the basis and stock market index returns. • Wider (tighter) CIP deviations go together with declines (increases) in stock market index returns. • And the relation is preserved across specifications, with implications for cross positioning in the financial market. In recent times, there has been a renewed interest in covered interest parity deviations wherein financial economists have begun to analyze the drivers of cross-currency basis swap spread, a measure of the extent of deviations from covered interest parity (CIP), for different currencies. They have, however, not examined how stock market index returns associate with changes in cross-currency basis swap spreads, especially in the case of the euro basis which is the most liquid among peers. This paper provides an empirical perspective on this new question. Using standard techniques, we examine how stock market index returns relate to changes in cross-currency basis in the eurozone. Consistent with our stylized model, the empirical results show that there is a positive relationship between changes in the basis and stock market index returns whereby wider (tighter) CIP deviations go hand-in-hand with declines (increases) in stock market index returns in the eurozone. This positive relation mostly holds up, though not always statistically significant, and its size varies across different empirical specifications." @default.
• W3190997094 created "2021-08-16" @default.
• W3190997094 creator A5027966813 @default.
• W3190997094 date "2021-09-01" @default.
• W3190997094 modified "2023-09-24" @default.
• W3190997094 title "Stock market and deviations from covered interest parity" @default.
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• W3190997094 doi "https://doi.org/10.1016/j.intfin.2021.101393" @default.
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